Why do some bones look like boxes and others like arrows?
Here are the different shapes for an armature. Also the different controls for changing it. It is for you to decide what you want to use.



The one exception to this is that if you create your vertex weight from envelopes, you can view what will be affected with the envelope option. You must go into edit mode to see all details. More about it here:

http://wiki.blender.org/index.php/Doc:2.6/Manual/Rigging/Armatures/Editing/Properties